Handbook of Quantitative Finance and Risk Management. Edited by Cheng-Few Lee Rutgers University Alice C. Lee San Francisco State University. This handbook expects to be published by Springer by January 2009. Please send all comments and suggestions to C.F. Lee at lee@rbsmail.rutgers.edu. - PowerPoint PPT Presentation

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Handbook of Quantitative Finance and Risk Management

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Table of Contents for Handbook of Quantitative Finance and Risk Management

Part VI –Summary and Concluding Remarks

A. Theory

B. Methods

C. Application

a. New Products

b. Trading Strategy

c. Hedging Strategy

d. Wealth Management

e. Risk Management

f. CDO and Subprime Markets

g. Others

Table of Contents for Handbook of Quantitative Finance and Risk Management

Part VII – Appendixes

A. Derivation of Dividend Discount Model

B. Derivation of DOL, DFL, and DCL

C. Derivation of M & M Propositions

D. Derivation of CAPM

E. Derivation of OPM

Part VIII– References

Part IX– Index

Subject Index

Author Index

Table of Contents for Handbook of Quantitative Finance and Risk Management

I. Introduction

Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. This handbook will be the most comprehensive handbook in quantitative finance, which integrates theory, methodology, and application. Because of the importance of quantitative finance in the finance industry, it has become one of the most popular subjects in business school. In addition, the finance industry has many job opportunities for people with good training in quantitative finance. Thus, a handbook should have a broad audience and be of interest to academics, educators, students, and practitioners.

Based upon our years of experience in teaching, research, textbook writing, and journal editing on the subject of quantitative finance, this handbook will review, discuss, and integrate theoretical, methodological and practical issues of quantitative finance. This handbook will be structured as follows:

Table of Contents for Handbook of Quantitative Finance and Risk Management

Part I. Introduction

Part II. Essay

Part III. Portfolio Analysis

Part IV. Options and Futures

Part V. Contributed Papers

A. Theories

B. Methodologies

C. Applications

Part VI –Summary and Concluding Remarks

A. Theory

B. Methods

C. Application

Part VII. Appendix

Part VIII. References

Part IX. Index

A. Subject Index

B. Author Index

Table of Contents for Handbook of Quantitative Finance and Risk Management

Part II of this handbook will cover in detail the essential financial theories, financial policies, and empirical methodologies used in quantitative finance. Finance theories can be classified into (1) classical theory, (2) new classical theory, (3) CAPM and APT, and (4) theory of option and futures. Financial policies can be classified into (1) investment policy, (2) financing policy, (3) dividend policy, and (4) production policy. The empirical methodologies that will be covered in part II are statistics, econometrics, mathematics, operation research, stochastic process, and computer science, and technology. Therefore, part II of this handbook will be structured as follows:

Table of Contents for Handbook of Quantitative Finance and Risk Management

Theory

Classical theory

New classical theory

CAPM and APT

Theory of option and futures

Policy

Investment policy

Financing policy

Dividend policy

Production policy

Methodology

Statistics

Econometrics

Mathematics

Operation research

Stochastic process

Computer science and technology

Table of Contents for Handbook of Quantitative Finance and Risk Management

Most of part II will be written by Cheng Few Lee and Alice Lee. Some portion of part II will be written by other well-known scholars. Detailed derivation of theory and development of methodology will be presented in the appendix of this handbook. The Appendix of this handbook will give detailed derivation of different finance theory and model such as stock variation model M&M theory, portfolio theory, CAPM, APT, OPM, and future valuation model.

Part III of this handbook covers portfolio analysis and Part IV of this handbook includes options and futures. Part V of this handbook includes contributed papers which will be written by well-know quantitative finance scholars and practitioners. The theoretical portion of these contributed papers will cover important finance theory, such as stock valuation theory, M&M theories, portfolio theories, CAPM, OPM, options, futures and other relevant theories in quantitative finance. The methodology portion of the contributed papers will cover methodologies of statistics, econometrics, mathematics, operation research, simulation and computer programming in quantitative finance research. The applications portion of the contributed papers will cover applications of options and futures theories in different financial instruments and products. Portfolio analysis and mutual fund evaluation will also be presented in this portion. In addition, market risk, credit risk and operation risk will be discussed in this portion in detail.

Part VII will present Appendix. Part VIII will include important references in quantitative finance. Finally, both subject and author index will be presented in Part IX.